@article{stock2002forecasting,
  title={{Forecasting using principal components from a large number of predictors}},
  author={Stock, J.H. and Watson, M.W.},
  journal={Journal of the American Statistical Association},
  volume={97},
  number={460},
  pages={1167--1179},
  year={2002},
  publisher={ASA}
}

@article{tiao1989model,
  title={{Model specification in multivariate time series}},
  author={Tiao, G.C. and Tsay, R.S.},
  journal={Journal of the Royal Statistical Society. Series B (Methodological)},
  volume={51},
  number={2},
  pages={157--213},
  year={1989},
  publisher={JSTOR}
}

@article{pena1987identifying,
  title={{Identifying a simplifying structure in time series}},
  author={Pe\~{n}a, D. and Box, G.E.P.},
  journal={Journal of the American Statistical Association},
  volume={82},
  number={399},
  pages={836--843},
  year={1987},
  publisher={JSTOR}
}

@article{box1977canonical,
  title={{A canonical analysis of multiple time series}},
  author={Box, G.E.P. and Tiao, G.C.},
  journal={Biometrika},
  volume={64},
  number={2},
  pages={355},
  year={1977},
  publisher={Biometrika Trust}
}

@article{tiao1981modeling,
  title={{Modeling multiple times Series with applications}},
  author={Tiao, G.C. and Box, G.E.P.},
  journal={Journal of the American Statistical Association},
  volume={76},
  number={376},
  pages={802--816},
  year={1981},
  publisher={JSTOR}
}


@article{szekely2009brownian,
  title={{Brownian distance covariance}},
  author={Sz{\'e}kely, G.J. and Rizzo, M.L.},
  journal={Annals of Applied Statistics},
  volume={3},
  number={4},
  pages={1236--1265},
  year={2009},
    publisher={IMS INSTITUTE OF MATHEMATICAL STATISTICS}
}

@article{szekely2007measuring,
  title={{Measuring and testing dependence by correlation of distances}},
  author={Sz{\'e}kely, G.J. and Rizzo, M.L. and Bakirov, N.K.},
  journal={Annals of Statistics},
  volume={35},
  number={6},
  pages={2769},
  year={2007},
  publisher={IMS INSTITUTE OF MATHEMATICAL STATISTICS}
}

  @Manual{energy,
    title = {Energy: E-statistics (energy statistics)},
    author = {Maria L. Rizzo and Gabor J. Szekely},
    year = {2008},
    note = {R package version 1.1-0},
  }
  
  @article{remillard2009discussion,
  title={{Discussion of: Brownian distance covariance}},
  author={R{\'e}millard, B.},
  journal={Annals of Applied Statistics},
  volume={3},
  number={4},
  pages={1295--1298},
  year={2009},
    publisher={IMS INSTITUTE OF MATHEMATICAL STATISTICS}
}


@book{citeulike:1877660,	
	author = {Cover, Thomas M. and Thomas, Joy A.},
	citeulike-article-id = {1877660},
	citeulike-linkout-0 = {http://www.amazon.ca/exec/obidos/redirect?tag=citeulike09-20&amp;path=ASIN/0471241954},
	citeulike-linkout-1 = {http://www.amazon.de/exec/obidos/redirect?tag=citeulike01-21&amp;path=ASIN/0471241954},
	citeulike-linkout-10 = {http://www3.interscience.wiley.com/cgi-bin/bookhome/110438582?CRETRY=1&#38;SRETRY=0},
	citeulike-linkout-2 = {http://www.amazon.fr/exec/obidos/redirect?tag=citeulike06-21&amp;path=ASIN/0471241954},
	citeulike-linkout-3 = {http://www.amazon.jp/exec/obidos/ASIN/0471241954},
	citeulike-linkout-4 = {http://www.amazon.co.uk/exec/obidos/ASIN/0471241954/citeulike00-21},
	citeulike-linkout-5 = {http://www.amazon.com/exec/obidos/redirect?tag=citeulike07-20&path=ASIN/0471241954},
	citeulike-linkout-6 = {http://www.worldcat.org/isbn/0471241954},
	citeulike-linkout-7 = {http://books.google.com/books?vid=ISBN0471241954},
	citeulike-linkout-8 = {http://www.amazon.com/gp/search?keywords=0471241954&index=books&linkCode=qs},
	citeulike-linkout-9 = {http://www.librarything.com/isbn/0471241954},
	howpublished = {Hardcover},
	isbn = {0471241954},
	keywords = {information-theory},
	month = {July},
	posted-at = {2008-10-03 14:23:36},
	priority = {2},
	publisher = {Wiley-Interscience},
         address = {New York},
	title = {Elements of Information Theory 2nd Edition},
	year = {2006}
}


@book{Alex:Inde:2001,
    author = {Alexander, C O},
    title = {Market Models},
    year = {2001},
    pages = {},
    publisher = {John Wiley \& Sons},
    isbn = {},
    CISid = {}
}
@article{Ande:stoc:1994,
    author = {Andersen, T G},
    title = {Stochastic Autoregressive Volatility: {A} Framework for Volatility Modeling ({STMA} {V}36 0803)},
    year = {1994},
    journal = {Mathematical Finance},
    volume = {4},
    pages = {75--102},
    keywords = {GARCH},
    CISid = {159740}
}
@article{Andr:hete:1991,
    author = {Andrews, Donald W K},
    title = {Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation},
    year = {1991},
    journal = {Econometrica},
    volume = {59},
    pages = {817--858},
    CISid = {129826}
}
@article{Asai:McAl:Yu:mult:2006,
    author = {Asai, Manabu and McAleer, Michael and Yu, Jun},
    title = {Multivariate Stochastic Volatility: {A} Review},
    year = {2006},
    journal = {Econometric Reviews},
    volume = {25},
    number = {2-3},
    pages = {145--175},
    keywords = {Asymmetry; Diagnostic checking; Estimation; factor models; Leverage; Model comparison; multivariate stochastic volatility; Thresholds; Time-varying correlations; Transformations},
    CISid = {268198}
}
@article{Bauw:Laur:Romb:mult:2006,
    author = {Bauwens , Luc and Laurent, S\'{e}bastien and Rombouts, Jeroen V. K.},
    title = {Multivariate {GARCH} Models: {A} Survey},
    year = {2006},
    journal = {Journal of Applied Econometrics},
    volume = {21},
    number = {1},
    pages = {79--109},
    CISid = {275217}
}
@article{back1997first,
  title={{A First Application of Independent Component Analysis to Extracting Structure from Stock Returns}},
  author={Back, A D and Weigend, A S },
  journal={International Journal of Neural Systems},
  volume={8},
  pages={473--484},
  year={1997},
  publisher={Citeseer}
}
@article{Boll:gene:1986,
    author = {Bollerslev, Tim},
    title = {Generalized Autoregressive Conditional Heteroskedasticity},
    year = {1986},
    journal = {Journal of Econometrics},
    volume = {31},
    pages = {307--327},
    keywords = {Inflation},
    CISid = {89305}
}
@article{Boll:Mode:1990,
    author = {Bollerslev, Tim},
    title = {Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH approach},
    year = {1990},
    journal = {Review of Economics and Statistics},
    volume = {72},
    pages = {498-505},
    keywords = {},
    CISid = {}
}
@article{Boll:Engl:wool:Capi:1988,
    author = {Bollerslev, Tim and Engle, R. and Woolridge, J M },
    title = {A Capital Asset Pricing Model with Time Varying Covariances},
    year = {1988},
    journal = {Journal of Political Economy},
    volume = {96},
    pages = {116-131},
    keywords = {},
    CISid = {}
}
@article{Card:Lahe:1996,
    author = {Cardoso, J F and Laheld, B H},
    title = {Equivariant Adaptive Source Separation},
    year = {1996},
    journal = {IEEE Trans. Signal Processing},
    volume = {44},
    number = {12},
    pages = {3017-3030},
    keywords = {},
    CISid = {}
}

@article{Carr:Chen:mixi:2002,
    author = {Carrasco, Marine and Chen, Xiaohong},
    title = {Mixing and Moment Properties of Various {GARCH} and Stochastic Volatility Models},
    year = {2002},
    journal = {Econometric Theory},
    volume = {18},
    number = {1},
    pages = {17--39},
    keywords = {generalized random coefficient autoregressive model; generalized hidden Markov model; Strict stationarity},
    CISid = {232778}
}

@article{chen2007portfolio,
  title={{Portfolio Value at Risk Based on Independent Component Analysis}},
  author={Chen, Y. and H\"{a}rdle, W. and Spokoiny, V.},
  journal={Journal of Computational and Applied Mathematics},
  volume={205},
  number={1},
  pages={594--607},
  year={2007},
  publisher={Elsevier}
}

@article{Chen:Bick:cons:2005,
    author = {Chen, A. and Bickel, P.},
    title = {Consistent Independent Component
Analysis and Prewhitening},
    year = {2005},
    journal = {IEEE Trans. Signal Processing},
    volume = {53},
    number = {10},
    pages = {
3625-3632},
    keywords = {},
    CISid = {}
}

@book{Coch:Asse:2001,
    author = { Cochrane, J.H.},
    title = {Asset Pricing (Revised)},
    year = {2001},
    pages = {},
    publisher = {Princeton University Press},
    isbn = {},
    CISid = {}


}

@article{Engl:auto:1982,
    author = {Engle, R F},
    title = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of {U}nited {K}ingdom Inflation ({STMA} {V}24 501)},
    year = {1982},
    journal = {Econometrica},
    volume = {50},
    pages = {987--1007},
    CISid = {56548}
}
@article{Engl:Kron:mult:1995,
    author = {Engle, Robert F. and Kroner, Kenneth F.},
    title = {Multivariate Simultaneous Generalized {ARCH}},
    year = {1995},
    journal = {Econometric Theory},
    volume = {11},
    pages = {122--150},
    keywords = {Maximum likelihood},
    CISid = {165752}
}
@article{Engl:dyna:2002,
    author = {Engle, Robert},
    title = {Dynamic Conditional Correlation: {A} Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models},
    year = {2002},
    journal = {Journal of Business \& Economic Statistics},
    volume = {20},
    number = {3},
    pages = {339--350},
    keywords = {ARCH; Correlation; GARCH; MULTIVARIATE GARCH},
    CISid = {233698}
}

@article{Fan:Wang:Yao:mode:2008,
    author = {Fan, Jianqing and Wang, Mingjin and Yao, Qiwei},
    title = {Modelling Multivariate Volatilities Via Conditionally Uncorrelated Components},
    year = {2008},
    journal = {Journal of the Royal Statistical Society, Series B: Statistical Methodology},
    volume = {70},
    number = {4},
    pages = {679--702},
    keywords = {Bootstrap test; causality in variance; Dimension reduction; Extended GARCH(1,1) model; FINANCIAL RETURNS; Portfolio volatility; Quasi-maximum-likelihood estimator; Time series},
    CISid = {288673}
}

@book{Fan:Yao:nonl:2003,
    author = {Fan, J. and Yao, Q.},
    title = {Nonlinear Time Series: Nonparametric and Parametric Methods},
    year = {2003},
    pages = {},
    publisher = {Springer, New York},
    isbn = {},
    CISid = {}


}
@article{Glos:Jaga:Runk:Rela:1993,
    author = {Glosten, L., Jagannathan, R., and Runkle, D.},
    title = {On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stock},
    year = {1993},
    journal = {Journal of Finance},
    volume = {48},
    number = {5},
    pages = {1779-1801},
    CISid = {}
}


@article{Hans:larg:1982,
    author = {Hansen, Lars Peter},
    title = {Large Sample Properties of Generalized Method of Moments Estimators},
    year = {1982},
    journal = {Econometrica},
    volume = {50},
    pages = {1029--1054},
    CISid = {56550}
}
@article{Hans:Heat:Yaro:fini:1996,
    author = {Hansen, Lars Peter and Heaton, John and Yaron, Amir},
    title = {Finite-sample Properties of Some Alternative {GMM} Estimators},
    year = {1996},
    journal = {Journal of Business \& Economic Statistics},
    volume = {14},
    pages = {262--280},
    keywords = {Monte Carlo; Asset pricing; Generalized method of moments},
    CISid = {176282}
}

@article{Hast:Tibs:Inde:2002,
  title={Independent Components Analysis Through Product Density Estimation},
  author={Hastie, T. and Tibshirani, R.},
  journal={Advances in Neural Information Processing Systems},
  volume = {15},
  pages={665--672},
  year={2003},
  publisher={MIT; 1998}
}


@article{He:Tera:Tera:Ters:prop:1999,
    author = {He, Changli and Terasvirta, Timo and Teraesvirta, Timo and Ter\"{a}svirta, Timo},
    title = {Properties of Moments of a Family of {GARCH} Processes},
    year = {1999},
    journal = {Journal of Econometrics},
    volume = {92},
    pages = {173--192},
    keywords = {Heteroscedasticity; Time series},
    CISid = {206102}
}
@book{Hyva:Karh:Oja:inde:2001,
    author = {Hyv\"{a}rinen, Aapo and Karhunen, Juha and Oja, Erkki},
    title = {Independent Component Analysis},
    year = {2001},
    pages = {481},
    publisher = {John Wiley \& Sons},
    address = {New York},
    isbn = {0-471-40540-x},
    CISid = {230114}
}
@article{Jean:stro:1998,
    author = {Jeantheau, Thierry},
    title = {Strong Consistency of Estimators for Multivariate {ARCH} Models},
    year = {1998},
    journal = {Econometric Theory},
    volume = {14},
    pages = {70--86},
    keywords = {Quasi-maximum likelihood; GARCH},
    CISid = {194318}
}
@article{Jean:Rock:Copu:2006,
    author = {Jondeau, E. and Rockinger, M.},
    title = {The Copula-GARCH Model of Conditional Dependencies: An International Stock-Market Application},
    year = {2006},
    journal = {Journal of International Money and Finance},
    volume = {25},
    pages = {827-853},
    keywords = {},
    CISid = {}
}
@article{Kim:Shep:Chib:Stoc:1998,
    author = {Kim, S., Shephard, N., and Chib, S. },
    title = {Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models},
    year = {1998},
    journal = {Review of Economic Studies},
    volume = {65},
    pages = {361-393},
    keywords = {},
    CISid = {}
}
@conference{kiviluoto1998independent,
  title={Independent Component Analysis for Parallel Financial Time Series},
  author={Kiviluoto, K and Oja, E},
  booktitle={Proc. ICONIP'98},
  volume={2},
  pages={895--898},
  year={1998}
}
@article{Kron:Ng:Mode:1998,
    author = {Kroner, K. and Ng, V},
    title = {Modeling Asymmetric Comovements of Asset Returns},
    year = {1998},
    journal = {The Review of Financial Studies},
    volume = {11},
    pages = {817-844},
    keywords = {},
    CISid = {}
}

@article{lee2000unifying,
  title={{A Unifying Information-theoretic Framework for Independent Component Analysis}},
  author={Lee, T W and Girolami, M and Bell, A J and Sejnowski, T J},
  journal={Computers and Mathematics with Applications},
  volume={39},
  number={11},
  pages={1--21},
  year={2000},
  publisher={Elsevier}
}

@book{Li:Diag:2004,
    author = {Li, W K},
    title = {Diagnostic Checks in Time Series},
    year = {2004},
    pages = {},
    publisher = {Chapman \& Hall/CRC},
    address = {Boca Raton},
    isbn = {},
    CISid = {}
}

@article{Lin:alte:1992,
    author = {Lin, W L},
    title = {Alternative Estimators for Factor {GARCH} Models -- {A} {M}onte {C}arlo Comparison},
    year = {1992},
    journal = {Journal of Applied Econometrics},
    volume = {7},
    pages = {259-279},
    keywords = {Quasi-likelihood; Two-stage procedure},
    CISid = {139794}
}
@conference{malaroiu-time,
  title={{Time Series Prediction with Independent Component Analysis}},
  author={Malaroiu, S. and Kiviluoto, K. and Oja, E.},
  booktitle={Proceedings of International Conference on Advanced Investment Technology},
      year = {2000},
  pages={19--21}
}

@book{marsden2003vector,
  title={{Vector Calculus}},
  author={Marsden, J E and Tromba, A},
  year={2003},
  publisher={WH Freeman},
  address = {New York}
}

@phdthesis{matteson2008statistical,
  title={{Statistical Inference for Multivariate Nonlinear Time Series}},
  author={Matteson, David S},
  year={2008},
  school={The University of Chicago}
}


@InProceedings{Matt:Tsay:high:2007,
    author = {Matteson, David S. and Tsay, Ruey S.},
    title = {High Dimensional Volatility Models},
    booktitle = {ASA Proceedings of the Joint Statistical Meetings},
    year = {2007},
    publisher = {American Statistical Association},
    pages = {1006--1013},
    CISid = {289236}
}


@book{Mtys:Maty:gene:1999,
    author = {M\'{a}ty\'{a}s, L\'{a}szl\'{o} (ed.)},
    title = {Generalized Method of Moments Estimation},
    year = {1999},
    pages = {316},
    publisher = {Cambridge University Press},
    address = {New York},
    isbn = {0-521-66013-0; 0-521-66967-7},
    CISid = {203140}
}

@article{mikosch2000limit,
  title={{Limit Theory for the Sample Autocorrelations and Extremes of a GARCH (1,1) Process}},
  author={Mikosch, T. and Starica, C.},
  journal={Annals of Statistics},
  volume={28},
  number={5},
  pages={1427--1451},
  year={2000},
  publisher={Institute of Mathematical Statistics}
}

@article{Newe:West:simp:1987,
    author = {Newey, W K and West, K D},
    title = {A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},
    year = {1987},
    journal = {Econometrica},
    volume = {55},
    pages = {703--708},
    CISid = {96391}
}
@article{Ni:Scal:1997,
    author = { Ni, S},
    title = {Scaling Factors in Estimation of Time-Nonseparable Utility Functions},
    year = {1997},
    journal = {The Review of Economics and Statistics},
    volume = {5},
    pages = { 234-240},
    CISid = {}
}

@article{Patt:mode:2006,
    author = {Patton, A},
    title = {Modelling Asymmetric Exchange Rate Dependence},
    year = {2006},
    journal = {International Economic Review},
    volume = {47},
    number = {2},
    pages = {527-556},
    CISid = {}
}



@book{Stou:Almo:1974,
    author = { Stout, W F},
    title = {Almost Sure Convergence},
    year = {1974},
    pages = {},
    publisher = {Academic Press},
    address = {New York},
    isbn = {},
    CISid = {}
}
@book{Tani:Kaki:asym:2000,
    author = {Taniguchi, Masanobu and Kakizawa, Yoshihide},
    title = {Asymptotic Theory of Statistical Inference for Time Series},
    year = {2000},
    pages = {661},
    publisher = {Springer-Verlag Inc},
    address = {New York},
    isbn = {0-387-95039-7},
    CISid = {219700}
}
@book{Tsay:Anal:2005,
    author = {Tsay, R S },
    title = {Analysis of Financial Time Series, 2nd ed.},
    year = {2005},
    pages = {},
    publisher = {Wiley, New York},
    isbn = {},
    CISid = {}
}
@article{Tsay:Mult:2006,
    author = {Tsay, R S },
    title = {Multivariate Volatility Models},
    year = {2006},
    journal = {Institute of Mathematical Statistics Lecture Notes-Monograph Series},
    volume = {52},
    number = {},
    pages = {210-222},
}
@article{Tse:Tsui:mult:2002,
    author = {Tse, Y K and Tsui, Albert K C},
    title = {A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-varying Correlations},
    year = {2002},
    journal = {Journal of Business \& Economic Statistics},
    volume = {20},
    number = {3},
    pages = {351--362},
    keywords = {BEKK MODEL; CONSTANT CORRELATION; Maximum likelihood estimate; Monte Carlo method; MULTIVARIATE GARCH MODEL; VARYING CORRELATION},
    CISid = {233699}
}
@article{Weid:go-g:2002,
    author = {van der Weide, Roy },
    title = {{GO}-{GARCH}: {A} Multivariate Generalized Orthogonal {GARCH} Model},
    year = {2002},
    journal = {Journal of Applied Econometrics},
    volume = {17},
    number = {5},
    pages = {549--564},
    CISid = {233473}
}

@book{Vile:spec:1968,
    author = {Vilenkin, N},
    title = {Special Functions and the Theory of Group Representation, Translations of Mathematical Monographs},
    year = {1964},
    pages = {},
    publisher = {American Math. Soc., Providence.},
    address = {Providence},
    isbn = {},
    CISid = {}
}

@article{Vron:Dell:Poli:full:2003,
    author = {Vrontos, I D and Dellaportas, P and Politis, D N},
    title = {A Full-factor Multivariate {GARCH} Model},
    year = {2003},
    journal = {The Econometrics Journal Online},
    volume = {6},
    number = {2},
    pages = {312--334},
    keywords = {Autoregressive conditional heteroscedasticity; Bayesian model averaging; MARKOV CHAIN MONTE CARLO MODEL COMPOSITION; Maximum likelihood estimation},
    CISid = {239373}
}

@book{Whit:asym:1984,
    author = {White, Halbert},
    title = {Asymptotic Theory for Econometricians},
    year = {1984},
    pages = {228},
    publisher = {Academic Press},
    isbn = {0-12-746650-9},
    CISid = {69449}
}

@article{wu2005independent,
  title={{Independent Component Analysis for Clustering Multivariate Time Series Data}},
  author={Wu, E H C  and Yu, P L H },
  journal={Lecture Notes in Computer Science},
  pages={474--482},
  year={2005},
      volume = {ADMA 2005},
  publisher={Springer}
}





